A simple scheme for allocating capital in a foreign exchange proprietary trading firm

We present a model of capital allocation in a foreign exchange proprietary trading firm. The owner allocates capital to individual traders, who operate within strict risk limits. Traders specialize in individual currencies, but are given discretion over their choice of trading rule. The owner provides the simple formula that determines position sizes – a formula that does not require estimation of the firm-level covariance matrix. We provide supporting empirical evidence of excess risk-adjusted returns to the firm-level portfolio, and we discuss a modification of the model in which the owner dictates the choice of trading rule

Telomere disruption results in non-random formation of de novo dicentric chromosomes involving acrocentric human chromosomes

Copyright: © 2010 Stimpson et al.Genome rearrangement often produces chromosomes with two centromeres (dicentrics) that are inherently unstable because of bridge formation and breakage during cell division. However, mammalian dicentrics, and particularly those in humans, can be quite stable, usually because one centromere is functionally silenced. Molecular mechanisms of centromere inactivation are poorly understood since there are few systems to experimentally create dicentric human chromosomes. Here, we describe a human cell culture model that enriches for de novo dicentrics. We demonstrate that transient disruption of human telomere structure non-randomly produces dicentric fusions involving acrocentric chromosomes. The induced dicentrics vary in structure near fusion breakpoints and like naturally-occurring dicentrics, exhibit various inter-centromeric distances. Many functional dicentrics persist for months after formation. Even those with distantly spaced centromeres remain functionally dicentric for 20 cell generations. Other dicentrics within the population reflect centromere inactivation. In some cases, centromere inactivation occurs by an apparently epigenetic mechanism. In other dicentrics, the size of the alpha-satellite DNA array associated with CENP-A is reduced compared to the same array before dicentric formation. Extrachromosomal fragments that contained CENP-A often appear in the same cells as dicentrics. Some of these fragments are derived from the same alpha-satellite DNA array as inactivated centromeres. Our results indicate that dicentric human chromosomes undergo alternative fates after formation. Many retain two active centromeres and are stable through multiple cell divisions. Others undergo centromere inactivation. This event occurs within a broad temporal window and can involve deletion of chromatin that marks the locus as a site for CENP-A maintenance/replenishment.This work was supported by the Tumorzentrum Heidelberg/Mannheim grant (D.10026941)and by March of Dimes Research Foundation grant #1-FY06-377 and NIH R01 GM069514

Fractal Profit Landscape of the Stock Market

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.Comment: 12 pages, 4 figure

Laparoscopic treatment of isolated superficial peritoneal endometriosis for managing chronic pelvic pain in women:study protocol for a randomised controlled feasibility trial (ESPriT1)

Background: Endometriosis (where endometrial-like tissue is found outside the uterus) affects ~ 176 million women worldwide and can lead to debilitating pelvic pain. Three subtypes of endometriosis exist, with ~ 80% of women having superficial peritoneal endometriosis (SPE). Endometriosis is diagnosed by laparoscopy and, if SPE is found, gynaecologists usually remove it surgically. However, many women get limited pain relief from surgical removal of SPE. We plan to undertake a future large trial where women who have only SPE found at initial laparoscopy are randomly allocated to have surgical removal (excision or ablation) of SPE, or not. Ultimately, we want to determine whether surgical removal improves overall symptoms and quality of life, or whether surgery is of no benefit, exacerbates symptoms, or even causes harm. The primary objective of this feasibility study is to determine what proportion of women with suspected SPE undergoing diagnostic laparoscopy will agree to randomisation. The secondary objectives are to determine if there are differences in key prognostic parameters between eligible women that agree to be randomised and those that decline; how many women having laparoscopy for investigation of chronic pelvic pain are eligible for the trial; the range of treatment effects and variability in outcomes and the most acceptable methods of recruitment, randomisation and assessment tools. Methods: We will recruit up to 90 women with suspected SPE undergoing diagnostic laparoscopy over a 9-month recruitment period in four Scottish hospitals and randomise them 1:1 to either diagnostic laparoscopy alone (with a sham port to achieve blinding of the allocation) or surgical removal of endometriosis. Baseline characteristics, e.g. age, index of social deprivation, ethnicity, and intensity/duration of pain will be collected. Participants will be followed up by online questionnaires assessing pain, physical and emotional function at baseline, 3 months, 6 months and 12 months. Discussion: Recruitment to a randomised controlled trial to assess the effectiveness of surgery for endometriosis may be challenging because of preconceived ideas about treatment success amongst patients and clinicians. We have designed this study to assess feasibility of recruitment and to inform the design of our future definitive trial. Trial registration: ClincicalTrials.gov, NCT04081532 Status: Recruiting

Stretching the Rules: Monocentric Chromosomes with Multiple Centromere Domains

The centromere is a functional chromosome domain that is essential for faithful chromosome segregation during cell division and that can be reliably identified by the presence of the centromere-specific histone H3 variant CenH3. In monocentric chromosomes, the centromere is characterized by a single CenH3-containing region within a morphologically distinct primary constriction. This region usually spans up to a few Mbp composed mainly of centromere-specific satellite DNA common to all chromosomes of a given species. In holocentric chromosomes, there is no primary constriction; the centromere is composed of many CenH3 loci distributed along the entire length of a chromosome. Using correlative fluorescence light microscopy and high-resolution electron microscopy, we show that pea (Pisum sativum) chromosomes exhibit remarkably long primary constrictions that contain 3-5 explicit CenH3-containing regions, a novelty in centromere organization. In addition, we estimate that the size of the chromosome segment delimited by two outermost domains varies between 69 Mbp and 107 Mbp, several factors larger than any known centromere length. These domains are almost entirely composed of repetitive DNA sequences belonging to 13 distinct families of satellite DNA and one family of centromeric retrotransposons, all of which are unevenly distributed among pea chromosomes. We present the centromeres of Pisum as novel ``meta-polycentric'' functional domains. Our results demonstrate that the organization and DNA composition of functional centromere domains can be far more complex than previously thought, do not require single repetitive elements, and do not require single centromere domains in order to segregate properly. Based on these findings, we propose Pisum as a useful model for investigation of centromere architecture and the still poorly understood role of repetitive DNA in centromere evolution, determination, and function

The role of the pion cloud in the interpretation of the valence light-cone wavefunction of the nucleon

The pion cloud renormalises the light-cone wavefunction of the nucleon which is measured in hard, exclusive photon-nucleon reactions. We discuss the leading twist contributions to high-energy exclusive reactions taking into account both the pion cloud and perturbative QCD physics. The nucleon's electromagnetic form-factor at high $Q^2$ is proportional to the bare nucleon probability $Z$ and the cross-sections for hard (real at large angle or deeply virtual) Compton scattering are proportional to $Z^2$. Our present knowledge of the pion-nucleon system is consistent with $Z = 0.7 \pm 0.2$. If we apply just perturbative QCD to extract a light-cone wavefunction directly from these hard exclusive cross-sections, then the light-cone wavefunction that we extract measures the three valence quarks partially screened by the pion cloud of the nucleon. We discuss how this pion cloud renormalisation effect might be understood at the quark level in terms of the (in-)stability of the perturbative Dirac vacuum in low energy QCD.Comment: Expanded Discussion of Phenomenology and Spin Physic

Quantum Engineering With Hybrid Magnonic Systems and Materials (Invited Paper)

Quantum technology has made tremendous strides over the past two decades with remarkable advances in materials engineering, circuit design, and dynamic operation. In particular, the integration of different quantum modules has benefited from hybrid quantum systems, which provide an important pathway for harnessing different natural advantages of complementary quantum systems and for engineering new functionalities. This review article focuses on the current frontiers with respect to utilizing magnons for novel quantum functionalities. Magnons are the fundamental excitations of magnetically ordered solid-state materials and provide great tunability and flexibility for interacting with various quantum modules for integration in diverse quantum systems. The concomitant-rich variety of physics and material selection enable exploration of novel quantum phenomena in materials science and engineering. In addition, the ease of generating strong coupling with other excitations makes hybrid magnonics a unique platform for quantum engineering. We start our discussion with circuit-based hybrid magnonic systems, which are coupled with microwave photons and acoustic phonons. Subsequently, we focus on the recent progress of magnon–magnon coupling within confined magnetic systems. Next, we highlight new opportunities for understanding the interactions between magnons and nitrogen-vacancy centers for quantum sensing and implementing quantum interconnects. Lastly, we focus on the spin excitations and magnon spectra of novel quantum materials investigated with advanced optical characterization

Development of a prototype clinical decision support tool for osteoporosis disease management: a qualitative study of focus groups

<p>Abstract</p> <p>Background</p> <p>Osteoporosis affects over 200 million people worldwide, and represents a significant cost burden. Although guidelines are available for best practice in osteoporosis, evidence indicates that patients are not receiving appropriate diagnostic testing or treatment according to guidelines. The use of clinical decision support systems (CDSSs) may be one solution because they can facilitate knowledge translation by providing high-quality evidence at the point of care. Findings from a systematic review of osteoporosis interventions and consultation with clinical and human factors engineering experts were used to develop a conceptual model of an osteoporosis tool. We conducted a qualitative study of focus groups to better understand physicians' perceptions of CDSSs and to transform the conceptual osteoporosis tool into a functional prototype that can support clinical decision making in osteoporosis disease management at the point of care.</p> <p>Methods</p> <p>The conceptual design of the osteoporosis tool was tested in 4 progressive focus groups with family physicians and general internists. An iterative strategy was used to qualitatively explore the experiences of physicians with CDSSs; and to find out what features, functions, and evidence should be included in a working prototype. Focus groups were conducted using a semi-structured interview guide using an iterative process where results of the first focus group informed changes to the questions for subsequent focus groups and to the conceptual tool design. Transcripts were transcribed verbatim and analyzed using grounded theory methodology.</p> <p>Results</p> <p>Of the 3 broad categories of themes that were identified, major barriers related to the accuracy and feasibility of extracting bone mineral density test results and medications from the risk assessment questionnaire; using an electronic input device such as a Tablet PC in the waiting room; and the importance of including well-balanced information in the patient education component of the osteoporosis tool. Suggestions for modifying the tool included the addition of a percentile graph showing patients' 10-year risk for osteoporosis or fractures, and ensuring that the tool takes no more than 5 minutes to complete.</p> <p>Conclusions</p> <p>Focus group data revealed the facilitators and barriers to using the osteoporosis tool at the point of care so that it can be optimized to aid physicians in their clinical decision making.</p

Reconstructing the three-dimensional GABAergic microcircuit of the striatum

A system's wiring constrains its dynamics, yet modelling of neural structures often overlooks the specific networks formed by their neurons. We developed an approach for constructing anatomically realistic networks and reconstructed the GABAergic microcircuit formed by the medium spiny neurons (MSNs) and fast-spiking interneurons (FSIs) of the adult rat striatum. We grew dendrite and axon models for these neurons and extracted probabilities for the presence of these neurites as a function of distance from the soma. From these, we found the probabilities of intersection between the neurites of two neurons given their inter-somatic distance, and used these to construct three-dimensional striatal networks. The MSN dendrite models predicted that half of all dendritic spines are within 100 mu m of the soma. The constructed networks predict distributions of gap junctions between FSI dendrites, synaptic contacts between MSNs, and synaptic inputs from FSIs to MSNs that are consistent with current estimates. The models predict that to achieve this, FSIs should be at most 1% of the striatal population. They also show that the striatum is sparsely connected: FSI-MSN and MSN-MSN contacts respectively form 7% and 1.7% of all possible connections. The models predict two striking network properties: the dominant GABAergic input to a MSN arises from neurons with somas at the edge of its dendritic field; and FSIs are interconnected on two different spatial scales: locally by gap junctions and distally by synapses. We show that both properties influence striatal dynamics: the most potent inhibition of a MSN arises from a region of striatum at the edge of its dendritic field; and the combination of local gap junction and distal synaptic networks between FSIs sets a robust input-output regime for the MSN population. Our models thus intimately link striatal micro-anatomy to its dynamics, providing a biologically grounded platform for further study